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A Markov-Switching VSTOXX Trading Algorithm For en by Al winkel is a document available to read on EtoBox.
What is A Markov-Switching VSTOXX Trading Algorithm For en about?
This paper explores the use of Markov-Switching models and volatility futures to enhance the performance of Euro-based stock portfolios, specifically focusing on the Eurostoxx 50 index and VSTOXX futures. The authors simulate the performance of theoretical investors under different trading costs and volatility regimes, finding that diversification benefits are significant in the short term and can improve long-term portfolio performance. The results are intended to aid practitioners in algorithmic and activ
- Author
- Al winkel
- Language
- EN